Having trouble connecting Xbox 360 to Macbook Air with a thunderbolt ethernet adapter

So I got a new 11-inch Macbook Air a month ago and since it didn't come with an ethernet port, I bought a thunderbolt adapter in order to connect my 360 to the wifi through my mac. I've done this before with a 2008 Macbook but that had a port built in and it worked just fine. But I can't seem to get my Mac to register that it's connected to the 360. I've changed multiple settings on the "Sharing" and "Network" tabs on System Preferences but nothing is working. I'm running Mavericks as well (downloading Yosemite now). Any help would be appreciated. I've tried looking on google for help but there is no recent article about how to connect using a thunderbolt adapter.

Which Thunderbolt to Ethernet adaptor did you buy? Is it like this one which is sold on Amazon.com?

Yes, it's that exact one.
I've been told that an Ethernet "crossover" cable might make it work but I'm skeptical since I used a normal Ethernet with my 2008 Macbook and it worked fine.

I'm not sure an ethernet crossover cable is going to work either. The TB to ethernet adapter should work though since there's really no difference from when you attached an ethernet cable from your 2008 machine. However, I'm really not too keen on using thunderbolt adaptors. Sometimes even the TB to DVI and HDMI cables don't work right.

I've been using a TB to HDMI for a couple years and it works pretty well. The multiple options in the "Networking" and "Sharing" tabs are what I think I need help with. I've messed around with the Internet Sharing options and using IP addresses that worked before on my old mac, but the status of the TB Ethernet is always "Cable Unplugged"